What software is there for linear programming under uncertainty?
See the Stochastic Programming Community Home Page for listings of software as well as conferences, tutorial materials, and publications. Instructions for joining a stochastic programming mailing list can also be found at this site. [Thanks to Derek Holmes for the following text.] Your success solving a stochastic program depends greatly on the characteristics of your problem. The two broad classes of stochastic programming problems are recourse problems and chance-constrained (or probabilistically constrained) problems. Recourse Problems are staged problems wherein one alternates decisions with realizations of stochastic data. The objective is to minimize total expected costs of all decisions. The main sources of code (not necessarily public domain) depend on how the data is distributed and how many stages (decision points) are in the problem. • For discretely distributed multistage problems, a good package called MSLiP has been developed by Gus Gassmann (Horand.Gassmann@dal.ca). Also
